Die Risikoprämie am deutschen Kapitalmarkt

Alexander Klos ()
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Alexander Klos: Sonderforschungsbereich 504, Postal: L 13, 15, D-68131 Mannheim

No 02-44, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

Abstract: This paper considers the equity risk premium in the German capital market. First of all, we discuss empirical problems associated with the computation of the equity risk premium. Particularities of the German capital market receive special attention. Next, we compute the predicted risk premium of a standard consumption-based model. The necessary consumption data for Germany is not available in the desired precision. We therefore compute the risk premium on the basis of a proxy and perform a sensitivity analysis.

Pages: 31 pages
Date: 2002-05-03
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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